Similar Search Results

Systematic credit risk: CDX index correlation and extreme dependence

Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2008

Dependence is an important issue in credit risk portfolio modeling and pricing. We discuss a straightforward common factor model of credit risk dependence, which is motivated by intensity models such as Duffie and Singleton (1998), among others. In the empirical analysis, we study dependence...

Persistent link: https://www.econbiz.de/10010905302

Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis

Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International Review of Financial Analysis 24 (2012) C, pp. 57-65

We study the lead–lag dependence between aggregate credit spreads and equity prices as well as implied equity volatility, which is important for proper credit risk assessment. Our analysis includes daily quotes of the iTraxx Europe index, the Dow Jones Euro Stoxx 50 index, and the Dow Jones...

Persistent link: https://www.econbiz.de/10011056778

Systematic credit risk: CDX index correlation and extreme dependence.

Aboura, Sofiane; Wagner, Niklas - Université Paris-Dauphine - 2008

Persistent link: https://www.econbiz.de/10008520018

Interest rates, stock returns and credit spreads : evidence from German Eurobonds

Wagner, Niklas F.; Hogan, Warren Pat; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 35-50

Persistent link: https://www.econbiz.de/10002984476

Credit cycle dependent spread determinants in emerging sovereign debt markets

Riedel, Christoph; Thuraisamy, Kannan S.; Wagner, Niklas F. - In: Emerging markets review 17 (2013), pp. 209-223

Persistent link: https://www.econbiz.de/10010243082

Three essays on credit risk with a special focus on the subprime financial crisis

Breitenfellner, Bastian - 2013

Persistent link: https://www.econbiz.de/10010212737

Explaining aggregate credit default swap spreads

Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 22 (2012), pp. 18-29

Persistent link: https://www.econbiz.de/10010219703

Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis

Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65

Persistent link: https://www.econbiz.de/10009688173

Government intervention in response to the subprime financial crisis : the good into the pot, the bad into the crop

Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 19 (2010) 4, pp. 289-297

Persistent link: https://www.econbiz.de/10009272662

Pricing CDX credit default swaps using the Hull-White model

Hofberger, Bastian; Wagner, Niklas - In: Credit risk : models, derivatives, and management, (pp. 197-208). 2008

Persistent link: https://www.econbiz.de/10003718475